| Abstract: | In this paper, a new online model‐free adaptive dynamic programming algorithm is developed to solve the H∞ control problem of the continuous‐time linear system with completely unknown system dynamics. Solving the game algebraic Riccati equation, commonly used in H∞ state feedback control design, is often referred to as a two‐player differential game where one player tries to minimize the predefined performance index while the other tries to maximize it. Using data generated in real time along the system trajectories, this new method can solve online the game algebraic Riccati equation without requiring the full knowledge of system dynamics. A rigorous proof of convergence of the proposed algorithm is given. Finally, simulation studies on two examples demonstrate the effectiveness of the proposed method. |
